Please check the below article that shows the options that you have to convert these VMs from thick to thin provisioning.

It says also that "This health alarm will not check VMs deployed by ESX Agent Manager (EAM) as most of the VMs deployed as thick-provisioned by default or VMs with disabled tasks (vm.disabledMethod), for example, NSX Controllers."

So you should not have any problem with the health check alarm with the deployed NSX components through the EAM. In addition, while deploying the NSX manager, you can choose to deploy it as thin, or follow one of the options in the below KB article to change its reservation from thick to thin.